Moving percentiles channel

2020年5月17日

This script plots moving percentiles of past price distribution, creating a channel useful for trend and volatility analysis, and for operational purposes also. Percentiles are more robust than common moving averages when it comes to address noise during lateral price movements.

Percentiles included:
- 10th
- 25th (= 1st quartile)
- 50th (= median)
- 75th (= 3rd quartile)
- 90th

You can choose between 2 methods to compute percentiles:
- Linear interpolation
- Nearest rank
(Check pinescript reference manual for more details)

The script also let you plot one Moving average, useful for comparison with the median. Supported MA:
- SMA
- EMA
- WMA
- VWMA
- Hull
- Arnaud Legoux
- Least squares

An example of operational rule could be:
- Buy when observing crossovers between price and 3rd quartile, and viceversa, sell when observing crossunders between price and 1st quartile.
- Close buy positions when observing crossunder between price and median, and viceversa.
However these are only simple example for teaching purpose. I suggest you to create your own strategy.

Hope you enjoy the script. Please support and follow me if you like my work. More content will be added in the future.

Bezzus

2020年5月18日

版本注释

Updates:
- Possibility to choose n and m for n-th and -th percentiles (they were set by default to n = 10 and m = 90, in the previous version of the script)
- Minor fixes to the code.

2020年5月20日

版本注释

Updates:
- Added FRAMA to moving averages list.
- Percentiles settings are now separated from MA settings

2020年5月23日

版本注释

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2020年6月3日

版本注释

Updates:
- Added support for Double Exponential MA (DEMA) and Triple Exponential MA (TEMA)

Bezzus

2020年6月10日

版本注释

Updates:
- Added 0 and 100th percentiles.
- Fixed the plot fill section. Now the channel will be filled, no matter which combination of percentiles you choose.
- Other minor fixes to the code .